Wesley R. Gray, Ph.D.

//Wesley R. Gray, Ph.D.

About Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.

Performance Attribution for Active ETFs and Active Mutual Funds

By | 2017-08-18T16:59:25+00:00 May 14th, 2015|Investor Education, Tactical Asset Allocation Research|

Peter Hecht, Ph.D., a fellow Chicago Finance PhD, and vice president of Evanston Capital Management, recently posted an article introducing a practical solution for active portfolios return attribution: Finally, a practical solution for decomposing returns into alpha and [...]

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Currency Investing Research: Good Carry, Bad Carry

By | 2017-08-18T17:07:47+00:00 May 13th, 2015|Research Insights, Tactical Asset Allocation Research, $dbv, $ici|

Good Carry, Bad Carry Bekaert and Panayotov A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: We distinguish between "good" and [...]

Value Investing Research: Simple Methods to Improve the Piotroski F-Score

By | 2017-08-18T16:53:49+00:00 May 5th, 2015|Research Insights, Value Investing Research|

Executive Summary In this article, we identify how we can improve the performance of the F-Score and enhance a generic value investing approach. In a 2000 study, “Value Investing: The Use of Historical Financial Statement [...]

A Unique Insider Trading Signal that Generates Alpha

By | 2017-08-18T17:11:12+00:00 May 4th, 2015|Research Insights, $SPY, $iwd|

Insider Trading Patterns Cicero and Wintoki A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: We find that corporate insiders trade [...]

Is Passive Perfect? High Active Share Long-Term Investing Works Better

By | 2017-08-18T17:01:40+00:00 April 30th, 2015|Research Insights, Value Investing Research, Active and Passive Investing, $iwd|

Patient Capital Outperformance Cremers and Pareek A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: This paper documents that among high [...]

How Smart are “Smart Beta” ETFs?

By | 2017-08-18T17:03:32+00:00 April 28th, 2015|Research Insights, Tactical Asset Allocation Research|

Many consider smart beta to be a revolution in the asset management industry. For example, Bloomberg ran an article, "Funds Run by Robots Now Accounts for $400 Billion," which caught our attention. According to this article, "Smart beta," is [...]

International Value Investing: Looks Like a Reasonable Bet

By | 2017-08-18T17:02:50+00:00 April 27th, 2015|Research Insights, Value Investing Research|

A Value Investing Premium, Everywhere? A rich body of literature has shown that value investing, or buying stocks that are "cheap" based on a variety of valuation metrics, is robust across different markets. For example, Fama and French [...]

Are Value Investing and Momentum Investing Robust Anomalies?

By | 2017-08-18T17:10:04+00:00 April 21st, 2015|Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Beating a Dead Horse: Value investing and momentum investing work At this stage in our lives we've essentially memorized the CRSP/Compustat database. Name an anomaly and we can probably tell you the stats on it fairly quickly. [...]

Attention Value Investors: How to Predict Accounting Trickery

By | 2017-08-18T17:09:54+00:00 April 20th, 2015|Research Insights, Value Investing Research, $vlue, $voe|

Predicting Material Accounting Misstatements Dechow, Ge, Larson and Sloan A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. Abstract: We examine 2,190 [...]

Daily Academic Alpha: Pension Fund Lemmings

By | 2017-08-18T17:07:28+00:00 April 15th, 2015|Uncategorized|

The Market for Lemmings: Is the Investment Behavior of Pension Funds Stabilizing or Destabilizing? Pension funds are large institutional investors, and yet very little is known about their investment behavior. Using a unique dataset that [...]

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Tactical Asset Allocation with Market Valuations: Magic of Myth?

By | 2017-08-18T16:56:18+00:00 April 14th, 2015|Research Insights, Value Investing Research, Tactical Asset Allocation Research, $SPY, $vlue|

Executive Summary Although it has been very difficult to overcome our initial skepticism, we've finally accepted the notion that simple technical analysis may serve as an effective way to manage risk and to time markets. [...]